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In my opinion, it's all about preference. Some ladies have a hard time peeing on a stick and miss it while others don't want to pee in a cup and risk spilling or getting it on their hands. I think both styles of test work the same once the urine is on the strip in the test.

This is worth reading for info on which tests detect earlier: http://www.babyhopes.com/pregnancy-test-sensitivity-comparison.html
Before I saw that, I thought the more expensive tests were better, but they're not necessarily.

the most important thing is to get the ones that say early, and use them first thing in the morning. Everything else is preference. If you don't normally pee a lot, then it's easiest to get the ones you dip.